Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0890
Annualized Std Dev 0.2074
Annualized Sharpe (Rf=0%) 0.4293

Row

Daily Return Statistics

Close
Observations 3457.0000
NAs 1.0000
Minimum -0.1237
Quartile 1 -0.0049
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.0974
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0131
Skewness -0.5862
Kurtosis 8.1021

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0085
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.5449
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0329
Modified VaR (95%) -0.0210
Modified ES (95%) -0.0440
From Trough To Depth Length To Trough Recovery
2007-10-12 2009-03-09 2013-02-01 -0.5449 1326 350 976
2020-02-20 2020-03-23 2020-07-08 -0.3466 97 23 74
2018-09-17 2018-12-24 2019-06-20 -0.2477 191 69 122
2015-08-19 2016-02-08 2016-07-08 -0.1533 224 119 105
2021-02-16 2021-03-08 NA -0.1332 25 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -1 0.9 -2.2 1 0.3 -2.1 0.1 -1.1 -4
2008 1.5 -3.2 2.9 0.2 0.4 -0.6 -1.3 -0.5 -1.4 2.2 -6.1 3.3 -3.1
2009 -1.4 -0.4 0 -0.4 4.1 1 0.4 -1.3 -2.5 -2.7 1.3 -0.8 -2.9
2010 2.1 2.3 0.9 -2.4 -2.2 0 0.4 3.1 0.3 0 2.2 -0.3 6.5
2011 1.5 -1.8 0.4 0.4 -2.2 1.6 -0.6 -1.1 -2.8 -2.1 0.1 -0.8 -7.2
2012 1 0.5 0.4 0.7 -3.4 3 -0.7 0.5 0.1 1.2 -0.1 1.8 5
2013 0.9 0.3 -0.9 -0.9 -1.4 0.3 1.6 -0.5 0.8 0.2 -0.2 0.4 0.7
2014 -0.5 0.1 1.3 0.1 0.2 1.2 0.1 0.4 -1.5 1.4 -1.1 -0.9 0.9
2015 -2 -0.1 -0.8 1.6 0.4 0.8 0.1 -2.8 0.6 -0.2 1.1 -1 -2.3
2016 0.6 2.2 1 -0.5 0.1 0.2 -0.2 0 0.4 -0.8 -1.9 -0.7 0.4
2017 -0.3 1.3 -0.1 0.5 0.9 0.5 0.1 0 0.8 -0.4 -0.5 -0.3 2.6
2018 0 -1.3 2.1 0.2 1.6 0.4 -0.1 0.1 0.3 1.3 0.5 1.3 6.6
2019 0.4 0.7 1 -1.3 -0.8 0.8 -0.6 -0.5 -1.3 0.2 -0.5 0.2 -1.8
2020 -1.7 -0.7 -5.2 -2.7 0.6 1.1 0.3 1.1 1.3 -2.7 0.1 0.1 -8.3
2021 1.9 3.1 1.1 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart